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Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration

  • Binder, Michael
  • Hsiao, Cheng
  • Pesaran, M. Hashem

This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 04 (August)
Pages: 795-837

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Handle: RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05
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